Solution failure in a Step>1, it could be due to:  The solution may be at a buckling or limit point, i.e.,  displacements grow large under constant forces. If so,  for force control or contact problems, this is the end  of solution (check out the response

Since you already marked that correct I guess I have to deliver now.  No pressure.

There are a couple pretty big issues inside your setup.

1. You have an axis symmetric model but you have chosen the Plane Stress 2D simplification type.  This would assume your cross section is thin but uniform in one direction.  This is definitely not an accurate description of your 3D model so change this over to the "Axi-Symmetric"-type of 2D simplification using one of the temporary axis down the bolt.
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2. I am assuming that you are interested in the stress inside of the nut/thread interface.  Because of this you would not wish to place the fixture on the nut because it will if a deleterious effect on your stress results in that general region of the model.  It will cause the nut to be stiffer than it would otherwise be and lead to stress singularities in the area around the fixture.  it would be best to reverse your positions of the applied force and the fixture so the fixture is as far from the region of interest on the model as you can make it.
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That accounts for the big on the setup.  There were a couple things that had to be done to make the study run though.

1. Having the Global Contact set to No Penetration was not picking up the interaction between the nut threads and the shaft threads so I had to create Contact Sets for No Penetration on the 5 interacting threads.
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2. The default initial pseudo-time step being set to 0.01 was causing the analysis to not find equilibrium in the first step until the time step was automatically reduced to a much lower value.  I changed the initial time step to 0.00001 (an arbitrary small number) so it wouldn't have try to find the smaller initial time step.  The other pseudo-time settings were left alone so as the solver progressed it would go back to normal larger time steps.
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With all that in place there are results to look at.